Wallace & Gromit takes place in a generic Northern English town, though when Wallace gets post, the address can be briefly seen as 62 West Wallaby Street, Wigan. Other hints also suggest a Lancashire setting; though ironically (given the counties' infamous rivalry) Peter Sallis' voice acting gives Wallace a Yorkshire accent.
Most Pixar movies are set in undetermined locations (the only big exceptions being Finding Nemo and Finding Dory, which are set in the Pacific, with the former going to Australia, and the latter to California; and Inside Out, which deals with a Minnesota girl moving to San Francisco):
The Toy Story movies are set in the Tri-County area, as seen on newspaper vending machines, TV ads for Als Toy Barn, the local airport, and WebTuraMaps. Some of the architecture suggests a Southern California setting, albeit a rather provincial, suburban one; Simi Valley is a good bet.
The Incredibles is set in Metroville, which is in an undetermined location, and much of the action takes place on Nomanisan Island, a tropical volcanic island in another undetermined location. We do know, though, that Violets middle school is based on Brad Birds high school in Corvallis, Oregon.
Cars is set in Radiator Springs, which is clearly located somewhere in the southwestern U.S. near I-40 and Route 66, but its exact location and whether it's in Arizona or New Mexico are never explained.
In A Bug's Life, the setting is never specified, but the arid landscape and mention of a rainy season heavily implies it is either in Texas, the American Southwest, or Southern California.
In the Frozen Christmas short "Olaf's Frozen Adventure", one baker Olaf runs into is making a gingerbread cookie in the shape of Norway. Arendelle, however, was previously implied to be the Fantasy Counterpart Culture to Norway. Anna also has lines implying that Arendelle is literally just that town surrounding the castle (which clashes with a map in "Frozen Fever" which suggested Arendelle also includes the forests and mountains for a couple hundred miles to the west and north). The special makes it ambiguous whether Arendelle is a city-state or a country and if it is a city-state, just where does it take place (in Norway, nearby Norway, etc). To make it more confusing, the novelization has the family baking a cookie of Arendelle, implying that Norway doesn't exist.
Se7en takes place in an unnamed American city. Some take it to be Seattle due to much of the film taking place on rainy days. Word of God, on the other hand, calls the film Andrew Kevin Walker's "love letter to New York City."
Saw takes place in an unnamed city, with no hints as to where it is located.
The state represented by Senator Jefferson Smith in Mr. Smith Goes to Washington is not named, even though (or more likely because) its two senators, the governor, and the boss of its political machine are all central characters.
Subverted by the opening voiceover of Danny Boyle's Shallow Grave which states that "this could be any city," though actually there's no real mystery about the location — it's Edinburgh.
The city of Springwood in A Nightmare on Elm Street wanders all over the country as the series goes on. The first movie is set in an unnamed Los Angeles suburb, but as Continuity Creep sets in with each sequel, the setting picks up the name Springwood and enough backstory to turn into a Town with a Dark Secret. The sixth film's opening finally puts Springwood squarely on a U.S. map in Ohio. Freddy vs. Jason suggests that its near Camp Crystal Lake (which is in central New Jersey), but Word of God clarified that the movie just didnt show how long it took Jason to get to Springwood.
Batman films tend not to be consistent with Gothams location (the city is supposed to be an analogue for the dark side of New York, in contrast to the more idealistic Metropolis):
The Dark Knight Trilogy never hides the fact that the first two films were shot in Chicago, with prominent landmarks like the Wrigley Building, Sears Tower, Chicago Board of Trade Building, and Randolph Street Station visible, among others, but there the location of its Gotham City is apparently fantasy, given that its license plates state that it's located in Gotham State. The map of Gotham is the same one from Batman: No Man's Land, which puts the city on a group of fictional islands in New Jerseys Great Bay. The final film throws Los Angeles, New York and Pittsburgh into the mix as well. Given that the police cars use a paint job that the NYPD used in the 1990s, along with aerial shots of Manhattan used when Bane's takeover is going on in The Dark Knight Rises, it's safe to assume Gotham is meant to take the place of New York City ("Gotham" even being a nickname for parts of Manhattan at night).
Batman Forever hangs a lampshade on Gothams ambiguous geography by giving it landmarks associated with different real-world cities, like the Statue of Liberty and the Golden Gate Bridge. Some Batman continuities give Gotham a Statue of Justice or "Queen of Freedom" instead.
Batman v Superman: Dawn of Justice takes this a step further by placing Gotham quite literally across a bay from Metropolis (in the comics, they're a short drive away, but not that close). Suicide Squad has papers saying Gotham is in New Jersey, and Word of God says Metropolis is a federal district in Delaware. Here, Gotham City is being represented by Detroit.
Payback is set in some city during some decade. The architecture, clothing, furniture, and phones all make its city difficult to place both in location and time.
Office Space had cars with generic USA license plates, but it's implied to be set near or around Dallas-Fort Worth: the boat Peter, Joanna and Lawrence fish in has a Texas registration number (with Texas state shape), the place where Lawrence mentions he's helping build a new McDonald's is an actual Dallas suburb, Las Colinas (where many big companies have operations), the channel 39 Joanna mentions at the restaurant is an actual Dallas station (for many years it aired lots of Westerns; now it's the Telemundo station); and the fact that both Beavis and Butt-Head and King of the Hill are also made by Mike Judge and are both also set in Texas.
The Transformers film series is all over the place. Sam Witwicky lives in a place called Mission City, which in the first film was 22 miles from the Hoover Dam, putting it somewhere in Nevada or Arizona. Its final battle sequence, though, was very obviously filmed in downtown Los Angeles (with some bits in Detroit as well). Sam also goes to college somewhere far enough from Mission City that he has to fly there, although Executive Meddling necessitated this one since the second film also shows his mothers marijuana-fueled escapades around campus, several colleges forbade Michael Bay from identifying the place.
Zigzagged in the Indiana Jones movies. Originally, there was no need to name Indys home town (although the maps showed it was somewhere in New England) or the college where he taught, and neither is given a name in the films. Novelizations and video games, however, do both, as the author found writing a novelization difficult without doing so. The town was named Bedford and put in Connecticut, and the school was named Marshall College after Frank Marshall, a collaborator of Steven Spielberg and producer on all four films. It did, though, conflict with the video game Indiana Jones and the Fate of Atlantis, which called the school Barnett College fans theorize that Indy teaches at more than one school.
Footloose takes place in Beaumont. Many viewers assume its meant to be Beaumont, Texas, but dialogue references (e.g., being within driving distance of Chicago) place it somewhere in the Midwest. The stage version lampshades this (see Theatre below).
In Cinderella (2015), the kingdom's location is never given; however, it is clearly set in the real world, as various globes and maps can be seen around Ella's house. Influence was drawn from the Austro-Hungarian Empire, and France is also nearby, or at the very least, Ella is fluent in French.
The Double takes place in a dystopian city, but the time and location are both unclear. The actors are predominantly white and speak English with American accents, but there is a noticeable number of British accents as well. In one scene, Simon uses a Japanese coin to play a Japanese song on a jukebox. Another scene features a lounge band playing a song referencing Iwo Jima.
No Escape went to great lengths to make the setting as vague as possible, other than it being somewhere in Southeast Asia. Despite being filmed in Thailand, no Thai is spoken or seen written. The police officers shields have a modified Khmer script, and dialogue is a mix of several languages. This was done because the setting is not shown in a good light, and they didn't want to offend their audience.
The cult favorite slasher film Sleepaway Camp is known to take place in Upstate New York, made evident by the natural scenery of the camps location and the New York accents and dialogue of several characters, who obviously live in the New York City area and would logically head upstate for summer camp. However, it's unclear exactly where upstate the camp is.
The Rocky Horror Picture Show and Shock Treatment are both set in a town called Denton 18 towns in America have that name. In Rocky Horror, Janet is seen reading the Cleveland Plain Dealer, which suggests that its Denton, Ohio (confirmed by the Rocky Horror Scrapbook). But Shock Treatment tried to throw that out of whack by filming it in Denton, Texas (but due to a writers strike, they had to film in England instead). Shock Treatments Opening Narration also refers to it as a town not far from yours.
Casino is set in Las Vegas, but the flashbacks of the main characters refer to their previous city as "back home" without specifying its name.
The Phantom (1943) is set in The Jungle, with no explicit statement of where this jungle is. The latter half of the serial introduces a warlord known as the Tartar, which would suggest an Asian setting... except that despite their clothing and interior decorations, he and his retinue are clearly white men. The fauna and flora are the usual Hollywood mishmash, but the natives, clothing, and architecture are suggestive of South America. (Which is interesting, because although the location of the Phantom's home jungle moved around quite a bit in the early years of the comic, South America is one place it never was.)
Road House takes place in the Midwest town of Jasper, which is "just outside Kansas City". However, nobody specifies whether it's Kansas City, Kansas, or Kansas City, Missouri, but most people assume it's the latter.
In Whip It, Bodeen, Texas is clearly within driving distance of Austin, but other than that its precise location and geography are left ambiguous.